In the season six premire, Celestia said that an alicorn baby had never been born in the history of Equestria, but how does that explain the existence of her and Luna. One theory is that they were born before the creation of equestria. but there were only three groups of ponies: unicorns, pegusai and earth ponies. another theory, that they were not BORN alicorns, but as unicorns/pegusai/eath ponies. but my theory is that, yes they were born before equestria, but they were not KNOWN about by the history writers or the three pony tribes.